******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230921_204344 produced at 2023-09-21 21:39:11.163484 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 SOFR False True 0.08 0.00 -1.77 0.0 0.00 0.00 0.00 0.00 -21.90 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.36 0.0 0.00 0.00 0.00 0.00 -5.24 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.30 0.0 0.10 -0.10 -0.10 -0.10 -49.57 17.0 -16 -16 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -7.96 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.42 -0.21 0.0 0.61 -0.61 -0.42 -0.42 -4.36 13.0 -9 -9 caleb_strategy_v3 GOLD_micro False False 0.01 -0.24 -0.19 0.0 0.36 -0.36 -0.24 -0.26 -29.04 56.0 -37 -40 caleb_strategy_v3 US5 False False 0.04 -0.18 -0.14 0.0 0.89 -0.89 -0.18 -0.18 -4.07 25.0 -5 -5 caleb_strategy_v3 COPPER False False 0.03 -0.06 -0.14 0.0 0.19 -0.19 -0.06 -0.09 -4.49 6.0 -2 -3 caleb_strategy_v3 JPY False False 0.03 -0.14 -0.11 0.0 0.49 -0.49 -0.14 -0.17 -3.70 17.0 -5 -6 caleb_strategy_v3 EUR False False 0.05 -0.32 -0.09 0.0 0.63 -0.63 -0.32 -0.36 -1.89 14.0 -7 -8 caleb_strategy_v3 CAD False False 0.03 0.00 -0.08 0.0 0.73 -0.73 0.00 0.00 -3.12 29.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.37 -0.08 0.0 0.79 -0.79 -0.37 -0.37 -1.85 19.0 -9 -9 caleb_strategy_v3 US10 False False 0.04 0.00 -0.08 0.0 0.62 -0.62 0.00 0.00 -2.10 17.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.08 0.0 0.17 -0.17 0.00 -0.09 -0.92 2.0 0 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.07 0.0 0.21 -0.21 -0.01 -0.01 -23.95 68.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.07 0.0 0.07 -0.07 -0.06 -0.06 -27.10 26.0 -22 -22 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.06 0.0 0.36 -0.36 0.00 -0.01 -8.00 48.0 0 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.41 -0.41 0.00 0.00 -2.67 19.0 0 0 caleb_strategy_v3 GBP False False 0.03 -0.03 -0.05 0.0 0.57 -0.57 -0.03 -0.03 -1.81 22.0 -1 -1 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.17 -0.05 0.0 0.87 -0.87 0.17 0.09 -0.59 10.0 2 1 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.05 0.0 0.38 -0.38 -0.01 -0.02 -7.75 66.0 -1 -3 caleb_strategy_v3 US10U False False 0.04 -0.15 -0.05 0.0 0.49 -0.49 -0.15 -0.15 -1.28 13.0 -4 -4 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.05 0.0 0.05 -0.05 -0.04 -0.04 -58.75 59.0 -43 -43 caleb_strategy_v3 NZD False False 0.02 0.02 -0.04 0.0 0.42 -0.42 0.02 0.00 -1.95 21.0 1 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.04 0.0 0.23 -0.23 0.00 0.00 -3.77 23.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -9.00 3.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -3.81 12.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -7.78 51.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.12 -0.03 0.0 0.35 -0.35 -0.12 -0.12 -0.73 9.0 -3 -3 caleb_strategy_v3 BTP False False 0.04 0.00 -0.03 0.0 0.40 -0.40 0.00 0.00 -0.76 10.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.79 5.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.94 0.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.02 0.0 0.10 -0.10 -0.04 -0.04 -2.07 8.0 -3 -3 caleb_strategy_v3 US30 False False 0.04 -0.08 -0.02 0.0 0.25 -0.25 -0.08 -0.04 -0.50 6.0 -2 -1 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.51 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -2.21 9.0 -3 -3 caleb_strategy_v3 BUND False False 0.05 0.00 -0.02 0.0 0.47 -0.47 0.00 0.00 -0.35 10.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 -0.02 -0.02 0.0 0.12 -0.12 -0.02 -0.04 -0.85 6.0 -1 -2 caleb_strategy_v3 OAT False False 0.04 0.04 -0.01 0.0 0.45 -0.45 0.04 0.00 -0.29 10.0 1 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.75 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.70 9.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.76 4.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.18 -0.01 0.0 0.18 -0.18 -0.18 -0.18 -0.26 4.0 -4 -4 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.14 10.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.02 -0.00 0.0 0.15 -0.15 0.02 0.00 -0.16 7.0 1 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.19 10.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.10 11.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.17 0.01 0.0 0.37 -0.37 0.17 0.17 0.33 9.0 4 4 caleb_strategy_v3 COCOA False False 0.01 0.01 0.01 0.0 0.31 -0.31 0.01 0.00 1.20 26.0 1 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.04 0.01 0.0 0.19 -0.19 0.04 0.02 1.39 23.0 5 3 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.50 0.02 0.0 0.53 -0.53 0.50 0.50 0.71 16.0 15 15 caleb_strategy_v3 EUROSTX False False 0.02 0.02 0.02 0.0 0.30 -0.30 0.02 0.00 1.65 20.0 1 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.18 -0.18 0.00 0.00 1.79 18.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.21 0.03 0.0 0.31 -0.31 0.21 0.18 1.04 12.0 8 7 caleb_strategy_v3 DAX False False 0.01 0.00 0.03 0.0 0.33 -0.33 0.00 0.00 4.95 58.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.05 0.0 0.13 -0.13 0.00 0.00 1.02 3.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 2.77 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.14 0.06 0.0 0.14 -0.14 0.14 0.14 1.67 4.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.07 0.0 0.13 -0.13 0.07 0.07 6.77 13.0 7 7 caleb_strategy_v3 LIVECOW False False 0.03 0.05 0.07 0.0 0.44 -0.44 0.05 0.08 2.55 17.0 2 3 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.09 0.0 0.12 -0.12 0.06 0.09 2.89 4.0 2 3 caleb_strategy_v3 DX False False 0.04 0.00 0.12 0.0 35440446.58 -35440446.58 0.00 0.00 3.41 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.31 0.12 0.0 0.36 -0.36 0.31 0.31 2.58 8.0 7 7 caleb_strategy_v3 NIKKEI False False 0.01 0.26 0.25 0.0 0.26 -0.26 0.26 0.26 33.63 36.0 36 36 caleb_strategy_v3 CRUDE_W False False 0.03 0.15 0.26 0.0 0.15 -0.15 0.15 0.15 8.57 5.0 5 5 caleb_strategy_v3 MXP False False 0.01 0.45 0.32 0.0 0.58 -0.58 0.45 0.45 33.06 60.0 46 46 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.5 Shocked risk 60.5 Sum abs risk 65.7 Leverage 6.50 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2963986.35, 'annual_cash_vol_target': 740996.5875, 'daily_cash_vol_target': 46312.28671875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6438 0.6108 9.7730 BITCOIN 713.4294 26660.0000 2.6760 42.8165 BOBL 0.2563 115.8600 0.2212 3.5393 BTP 0.6511 111.7600 0.5826 9.3211 BUND 0.5396 129.6200 0.4163 6.6601 BUXL 1.2482 126.2600 0.9886 15.8174 CAC 60.5395 7210.0000 0.8397 13.4346 CAD 0.0027 0.7432 0.3601 5.7620 CANOLA 8.0121 734.9000 1.0902 17.4436 CHF 0.0044 1.1164 0.3954 6.3261 COCOA 44.1728 3575.0000 1.2356 19.7697 COFFEE 2.6185 156.2000 1.6764 26.8221 COPPER 0.0380 3.6995 1.0276 16.4413 CORN 6.6968 504.7500 1.3267 21.2280 COTTON2 1.1521 86.4000 1.3334 21.3349 CRUDE_W 0.9716 88.2200 1.1013 17.6216 DAX 116.7095 15665.0000 0.7450 11.9205 DOW 195.3737 34488.0000 0.5665 9.0640 DX 0.3588 105.0450 0.3416 5.4656 EUR 0.0049 1.0702 0.4542 7.2671 EURIBOR-ICE 0.0509 96.9200 0.0525 0.8405 EUROSTX 39.2446 4225.0000 0.9289 14.8619 FEEDCOW 1.5433 264.8250 0.5827 9.3240 GASOIL 12.8536 916.0000 1.4032 22.4517 GASOLINE 0.0330 2.4976 1.3203 21.1248 GAS_US_mini 0.0808 3.2700 2.4703 39.5243 GBP 0.0061 1.2298 0.4969 7.9511 GOLD_micro 9.3014 1922.0000 0.4839 7.7431 HEATOIL 0.0452 3.1560 1.4320 22.9123 JGB-SGX-mini 0.2187 145.1000 0.1507 2.4120 JPY 0.0000 0.0069 0.5664 9.0631 LEANHOG 1.3732 74.4750 1.8438 29.5005 LIVECOW 1.1264 189.7250 0.5937 9.4990 LUMBER-new 7.9414 479.5000 1.6562 26.4989 MILK 0.2460 17.2500 1.4259 22.8147 MXP 0.0004 0.0574 0.7470 11.9517 NASDAQ_micro 143.6434 14918.0000 0.9629 15.4062 NIKKEI 300.2216 32155.0000 0.9337 14.9387 NZD 0.0036 0.5934 0.6022 9.6359 OAT 0.5661 124.3200 0.4554 7.2860 OATIES 8.1068 435.2500 1.8626 29.8011 OJ 4.6046 341.5000 1.3483 21.5735 PALLAD 18.3476 1270.0000 1.4447 23.1151 PLAT 12.7338 926.2000 1.3748 21.9975 REDWHEAT 11.9008 715.7500 1.6627 26.6032 RICE 0.1688 16.2500 1.0390 16.6235 ROBUSTA 32.2055 2462.0000 1.3081 20.9297 RUSSELL 16.1573 1804.2000 0.8955 14.3286 SHATZ 0.0790 104.9000 0.0753 1.2050 SILVER-mini 0.3255 23.7375 1.3712 21.9389 SMI 76.0327 11110.0000 0.6844 10.9498 SOFR 0.0614 96.0400 0.0639 1.0230 SOYBEAN 13.9579 1253.7500 1.1133 17.8127 SOYMEAL 5.0795 385.2000 1.3187 21.0986 SOYOIL 0.7827 57.8200 1.3536 21.6581 SP400 19.5392 2532.3000 0.7716 12.3456 SP500_micro 31.0905 4384.7500 0.7091 11.3449 SUGAR11 0.3206 27.1800 1.1797 18.8747 US10 0.3665 108.4219 0.3380 5.4083 US10U 0.5167 112.4375 0.4595 7.3527 US2 0.0963 101.2695 0.0951 1.5216 US20 0.7636 116.2812 0.6567 10.5066 US30 1.1731 121.9375 0.9620 15.3924 US5 0.2357 105.2656 0.2239 3.5828 VIX 0.4613 17.8500 2.5843 41.3493 WHEAT 10.8835 656.5000 1.6578 26.5250 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 643.80 0.61 393.24 1.00 393.24 46312.29 117.77 -8.75 -103.07 BITCOIN 26.66 2.68 71.34 1.00 71.34 46312.29 649.15 -8.36 -542.54 BOBL 1158.60 0.22 256.29 1.07 273.75 46312.29 169.17 -10.77 -182.16 BTP 1117.60 0.58 651.08 1.07 695.45 46312.29 66.59 -3.34 -22.25 BUND 1296.20 0.42 539.55 1.07 576.32 46312.29 80.36 -4.29 -34.47 BUXL 1262.60 0.99 1248.19 1.07 1333.26 46312.29 34.74 -7.39 -25.65 CAC 721.00 0.84 605.40 1.07 646.65 46312.29 71.62 4.28 30.63 CAD 743.20 0.36 267.65 1.00 267.65 46312.29 173.04 -6.96 -120.39 CANOLA 146.98 1.09 160.24 0.74 119.05 46312.29 389.00 -8.22 -319.64 CHF 1395.44 0.40 551.73 1.00 551.73 46312.29 83.94 -20.00 -167.88 COCOA 357.50 1.24 441.73 1.00 441.73 46312.29 104.84 5.34 55.98 COFFEE 585.75 1.68 981.94 1.00 981.94 46312.29 47.16 -15.49 -73.05 COPPER 924.88 1.03 950.39 1.00 950.39 46312.29 48.73 -8.52 -41.50 CORN 252.38 1.33 334.84 1.00 334.84 46312.29 138.31 -11.33 -156.76 COTTON2 432.00 1.33 576.04 1.00 576.04 46312.29 80.40 -0.60 -4.82 CRUDE_W 882.20 1.10 971.61 1.00 971.61 46312.29 47.67 16.61 79.15 DAX 156.65 0.75 116.71 1.07 124.66 46312.29 371.50 3.91 145.10 DOW 172.44 0.57 97.69 1.00 97.69 46312.29 474.09 -7.04 -333.55 DX 1050.45 0.34 358.83 1.00 358.83 46312.29 129.06 10.17 131.28 EUR 1337.81 0.45 607.63 1.00 607.63 46312.29 76.22 -9.53 -72.65 EURIBOR-ICE 2423.00 0.05 127.29 1.07 135.96 46312.29 340.62 -0.51 -17.31 EUROSTX 422.50 0.93 392.45 1.07 419.19 46312.29 110.48 4.37 48.27 FEEDCOW 1324.12 0.58 771.63 1.00 771.63 46312.29 60.02 12.97 77.87 GASOIL 916.00 1.40 1285.36 1.00 1285.36 46312.29 36.03 18.48 66.58 GASOLINE 1048.99 1.32 1384.98 1.00 1384.98 46312.29 33.44 11.53 38.56 GAS_US_mini 81.75 2.47 201.94 1.00 201.94 46312.29 229.33 -10.91 -250.21 GBP 768.62 0.50 381.96 1.00 381.96 46312.29 121.25 -5.76 -69.81 GOLD_micro 192.20 0.48 93.01 1.00 93.01 46312.29 497.91 -17.10 -851.41 HEATOIL 1325.52 1.43 1898.17 1.00 1898.17 46312.29 24.40 9.61 23.45 JGB-SGX-mini 145100.00 0.15 21873.51 0.01 147.90 46312.29 313.14 0.21 6.59 JPY 858.94 0.57 486.54 1.00 486.54 46312.29 95.19 -14.99 -142.66 LEANHOG 297.90 1.84 549.26 1.00 549.26 46312.29 84.32 13.22 111.45 LIVECOW 758.90 0.59 450.55 1.00 450.55 46312.29 102.79 7.48 76.91 LUMBER-new 131.86 1.66 218.39 1.00 218.39 46312.29 212.06 -20.00 -424.13 MILK 345.00 1.43 491.94 1.00 491.94 46312.29 94.14 -13.82 -130.12 MXP 286.75 0.75 214.20 1.00 214.20 46312.29 216.21 10.42 225.23 NASDAQ_micro 298.36 0.96 287.29 1.00 287.29 46312.29 161.21 -10.06 -162.18 NIKKEI 32155.00 0.93 30022.16 0.01 202.99 46312.29 228.15 13.61 310.52 NZD 593.45 0.60 357.40 1.00 357.40 46312.29 129.58 -5.79 -75.04 OAT 1243.20 0.46 566.12 1.07 604.70 46312.29 76.59 -1.11 -8.50 OATIES 217.62 1.86 405.34 1.00 405.34 46312.29 114.25 -6.28 -71.79 OJ 512.25 1.35 690.69 1.00 690.69 46312.29 67.05 19.29 129.38 PALLAD 1270.00 1.44 1834.76 1.00 1834.76 46312.29 25.24 -5.93 -14.98 PLAT 463.10 1.37 636.69 1.00 636.69 46312.29 72.74 0.75 5.47 REDWHEAT 357.88 1.66 595.04 1.00 595.04 46312.29 77.83 -20.00 -155.66 RICE 325.00 1.04 337.67 1.00 337.67 46312.29 137.15 -2.28 -31.28 ROBUSTA 246.20 1.31 322.06 1.00 322.06 46312.29 143.80 8.27 118.91 RUSSELL 90.21 0.90 80.79 1.00 80.79 46312.29 573.27 -12.60 -722.60 SHATZ 1049.00 0.08 79.00 1.07 84.39 46312.29 548.82 -14.31 -785.39 SILVER-mini 593.44 1.37 813.71 1.00 813.71 46312.29 56.91 -4.83 -27.48 SMI 1111.00 0.68 760.33 1.11 846.62 46312.29 54.70 1.76 9.65 SOFR 2401.00 0.06 153.51 1.00 153.51 46312.29 301.70 -11.94 -360.28 SOYBEAN 626.88 1.11 697.90 1.00 697.90 46312.29 66.36 -2.52 -16.74 SOYMEAL 385.20 1.32 507.95 1.00 507.95 46312.29 91.17 -8.30 -75.70 SOYOIL 346.92 1.35 469.60 1.00 469.60 46312.29 98.62 1.57 15.46 SP400 2532.30 0.77 1953.92 1.00 1953.92 46312.29 23.70 -11.66 -27.63 SP500_micro 219.24 0.71 155.45 1.00 155.45 46312.29 297.92 -11.56 -344.34 SUGAR11 304.42 1.18 359.11 1.00 359.11 46312.29 128.96 6.51 84.01 US10 1084.22 0.34 366.49 1.00 366.49 46312.29 126.37 -13.14 -165.98 US10U 1124.38 0.46 516.70 1.00 516.70 46312.29 89.63 -11.26 -100.90 US2 2025.39 0.10 192.61 1.00 192.61 46312.29 240.44 -17.21 -413.83 US20 1162.81 0.66 763.57 1.00 763.57 46312.29 60.65 -9.55 -57.93 US30 1219.38 0.96 1173.07 1.00 1173.07 46312.29 39.48 -10.01 -39.54 US5 1052.66 0.22 235.72 1.00 235.72 46312.29 196.47 -16.35 -321.31 VIX 178.50 2.58 461.30 1.00 461.30 46312.29 100.39 -20.00 -200.79 WHEAT 328.25 1.66 544.18 1.00 544.18 46312.29 85.11 -19.60 -166.84 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -103.071 0.010 2.5 -2.674 BITCOIN -542.544 0.043 2.5 -58.755 BOBL -182.157 0.004 2.5 -1.847 BTP -22.248 0.014 2.5 -0.759 BUND -34.471 0.004 2.5 -0.350 BUXL -25.654 0.004 2.5 -0.260 CAC 30.630 0.014 2.5 1.045 CAD -120.393 0.010 2.5 -3.124 CANOLA -319.636 0.010 2.5 -7.777 CHF -167.882 0.010 2.5 -4.356 COCOA 55.982 0.009 2.5 1.199 COFFEE -73.046 0.005 2.5 -0.853 COPPER -41.499 0.043 2.5 -4.494 CORN -156.758 0.010 2.5 -3.814 COTTON2 -4.821 0.009 2.5 -0.103 CRUDE_W 79.153 0.043 2.5 8.572 DAX 145.095 0.014 2.5 4.949 DOW -333.551 0.009 2.5 -7.752 DX 131.283 0.010 2.5 3.407 EUR -72.654 0.010 2.5 -1.885 EURIBOR-ICE -17.313 0.014 2.5 -0.591 EUROSTX 48.265 0.014 2.5 1.646 FEEDCOW 77.866 0.013 2.5 2.580 GASOIL 66.577 0.017 2.5 2.886 GASOLINE 38.563 0.017 2.5 1.672 GAS_US_mini -250.208 0.043 2.5 -27.096 GBP -69.811 0.010 2.5 -1.811 GOLD_micro -851.406 0.014 2.5 -29.042 HEATOIL 23.449 0.017 2.5 1.017 JGB-SGX-mini 6.590 0.043 2.5 0.714 JPY -142.662 0.010 2.5 -3.702 LEANHOG 111.449 0.024 2.5 6.774 LIVECOW 76.905 0.013 2.5 2.549 LUMBER-new -424.127 0.008 2.5 -9.001 MILK -130.124 0.009 2.5 -2.787 MXP 225.228 0.059 2.5 33.060 NASDAQ_micro -162.181 0.009 2.5 -3.769 NIKKEI 310.522 0.043 2.5 33.628 NZD -75.036 0.010 2.5 -1.947 OAT -8.502 0.014 2.5 -0.290 OATIES -71.789 0.010 2.5 -1.747 OJ 129.376 0.009 2.5 2.771 PALLAD -14.978 0.014 2.5 -0.511 PLAT 5.472 0.014 2.5 0.187 REDWHEAT -155.661 0.005 2.5 -2.065 RICE -31.277 0.010 2.5 -0.761 ROBUSTA 118.907 0.005 2.5 1.389 RUSSELL -722.601 0.013 2.5 -23.947 SHATZ -785.392 0.004 2.5 -7.965 SILVER-mini -27.478 0.014 2.5 -0.937 SMI 9.651 0.014 2.5 0.329 SOFR -360.279 0.024 2.5 -21.897 SOYBEAN -16.739 0.004 2.5 -0.156 SOYMEAL -75.703 0.004 2.5 -0.704 SOYOIL 15.457 0.004 2.5 0.144 SP400 -27.634 0.013 2.5 -0.916 SP500_micro -344.343 0.009 2.5 -8.003 SUGAR11 84.008 0.009 2.5 1.787 US10 -165.984 0.005 2.5 -2.103 US10U -100.896 0.005 2.5 -1.279 US2 -413.832 0.005 2.5 -5.244 US20 -57.927 0.005 2.5 -0.734 US30 -39.536 0.005 2.5 -0.501 US5 -321.313 0.005 2.5 -4.072 VIX -200.789 0.099 2.5 -49.567 WHEAT -166.843 0.005 2.5 -2.213 ===================== Position diags ===================== AUD 3.06 BITCOIN 70.30 BOBL 1.72 BTP 2.27 BUND 0.81 BUXL 0.35 CAC 2.44 CAD 4.49 CANOLA 9.46 CHF 2.18 COCOA 2.25 COFFEE 0.55 COPPER 5.28 CORN 3.37 COTTON2 1.72 CRUDE_W 5.16 DAX 12.67 DOW 11.02 DX 3.35 EUR 1.98 EURIBOR-ICE 11.62 EUROSTX 3.77 FEEDCOW 1.99 GASOIL 1.56 GASOLINE 1.45 GAS_US_mini 24.84 GBP 3.15 GOLD_micro 16.98 HEATOIL 1.06 JGB-SGX-mini 33.91 JPY 2.47 LEANHOG 5.12 LIVECOW 3.41 LUMBER-new 4.50 MILK 2.02 MXP 31.74 NASDAQ_micro 3.75 NIKKEI 24.71 NZD 3.36 OAT 2.61 OATIES 2.78 OJ 1.44 PALLAD 0.86 PLAT 2.48 REDWHEAT 1.03 RICE 3.34 ROBUSTA 1.68 RUSSELL 19.00 SHATZ 5.57 SILVER-mini 1.94 SMI 1.87 SOFR 18.34 SOYBEAN 0.62 SOYMEAL 0.85 SOYOIL 0.92 SP400 0.79 SP500_micro 6.92 SUGAR11 2.74 US10 1.60 US10U 1.14 US2 3.05 US20 0.77 US30 0.50 US5 2.49 VIX 24.78 WHEAT 1.13 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.7 -3.0 -2.4 NaN 0 BITCOIN -58.8 -65.8 -51.7 -43.0 -43 BOBL -1.8 -2.0 -1.7 -9.0 -9 BTP -0.8 -1.0 -0.5 0.0 0 BUND -0.3 -0.4 -0.3 0.0 0 BUXL -0.3 -0.3 -0.2 -4.0 -4 CAC 1.0 0.8 1.3 8.0 8 CAD -3.1 -3.6 -2.7 0.0 0 CANOLA -7.8 -8.7 -6.8 NaN 0 CHF -4.4 -4.6 -4.1 -9.0 -9 COCOA 1.2 1.0 1.4 1.0 1 COFFEE -0.9 -0.9 -0.8 -1.0 -1 COPPER -4.5 -5.0 -4.0 -2.0 -2 CORN -3.8 -4.2 -3.5 0.0 0 COTTON2 -0.1 -0.3 0.1 0.0 0 CRUDE_W 8.6 8.1 9.1 5.0 5 DAX 4.9 3.7 6.2 0.0 0 DOW -7.8 -8.9 -6.7 -1.0 -1 DX 3.4 3.1 3.7 NaN 0 EUR -1.9 -2.1 -1.7 -7.0 -7 EURIBOR-ICE -0.6 -1.8 0.6 2.0 2 EUROSTX 1.6 1.3 2.0 1.0 1 FEEDCOW 2.6 2.4 2.8 7.0 7 GASOIL 2.9 2.7 3.0 2.0 2 GASOLINE 1.7 1.5 1.8 4.0 4 GAS_US_mini -27.1 -29.6 -24.6 -22.0 -22 GBP -1.8 -2.1 -1.5 -1.0 -1 GOLD_micro -29.0 -30.7 -27.3 -37.0 -37 HEATOIL 1.0 0.9 1.1 0.0 0 JGB-SGX-mini 0.7 -2.7 4.1 15.0 15 JPY -3.7 -3.9 -3.5 -5.0 -5 LEANHOG 6.8 6.3 7.3 7.0 7 LIVECOW 2.5 2.2 2.9 2.0 2 LUMBER-new -9.0 -9.5 -8.6 NaN 0 MILK -2.8 -3.0 -2.6 NaN 0 MXP 33.1 29.9 36.2 46.0 46 NASDAQ_micro -3.8 -4.1 -3.4 0.0 0 NIKKEI 33.6 31.2 36.1 36.0 36 NZD -1.9 -2.3 -1.6 1.0 1 OAT -0.3 -0.6 -0.0 1.0 1 OATIES -1.7 -2.0 -1.5 NaN 0 OJ 2.8 2.6 2.9 NaN 0 PALLAD -0.5 -0.6 -0.4 NaN 0 PLAT 0.2 -0.1 0.4 0.0 0 REDWHEAT -2.1 -2.2 -2.0 -3.0 -3 RICE -0.8 -1.1 -0.4 NaN 0 ROBUSTA 1.4 1.2 1.6 5.0 5 RUSSELL -23.9 -25.8 -22.0 -2.0 -2 SHATZ -8.0 -8.5 -7.4 NaN 0 SILVER-mini -0.9 -1.1 -0.7 NaN 0 SMI 0.3 0.1 0.5 4.0 4 SOFR -21.9 -23.7 -20.1 NaN 0 SOYBEAN -0.2 -0.2 -0.1 1.0 1 SOYMEAL -0.7 -0.8 -0.6 0.0 0 SOYOIL 0.1 0.1 0.2 0.0 0 SP400 -0.9 -1.0 -0.8 0.0 0 SP500_micro -8.0 -8.7 -7.3 0.0 0 SUGAR11 1.8 1.5 2.1 0.0 0 US10 -2.1 -2.3 -1.9 NaN 0 US10U -1.3 -1.4 -1.2 -4.0 -4 US2 -5.2 -5.5 -4.9 NaN 0 US20 -0.7 -0.8 -0.7 -3.0 -3 US30 -0.5 -0.6 -0.5 -2.0 -2 US5 -4.1 -4.3 -3.8 -5.0 -5 VIX -49.6 -52.0 -47.1 -16.0 -16 WHEAT -2.2 -2.3 -2.1 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.8 3.8 3.7 1.3 1.1 3.2 1.3 4.2 1.3 1.1 3.0 1.3 3.2 1.3 1.3 2.3 2.3 2.3 2.3 1.3 1.3 1.1 3.2 1.3 0.0 1.3 1.1 3.2 1.3 4.2 1.3 6.2 2.8 3.8 3.8 3.7 3.9 3.9 3.9 3.9 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.1 -0.5 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 -0.4 -0.0 -0.3 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 0.5 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 0.2 -0.2 -0.5 -0.3 -0.7 -0.2 0.1 BITCOIN -0.0 -0.6 -0.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 -0.1 -2.7 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.3 -0.2 -0.3 0.7 -0.2 0.7 BOBL -0.2 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.2 -0.3 -0.3 -0.1 -0.1 -0.1 -0.3 -0.1 1.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.8 0.0 -0.0 0.1 0.1 -0.7 -0.7 -0.7 -0.6 BTP -0.3 -0.3 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.9 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.9 0.1 0.0 0.1 0.4 -0.4 -0.7 0.0 0.3 BUND -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.3 -0.1 0.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.8 0.1 0.1 0.1 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.2 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.4 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.1 -0.0 -0.1 0.1 -0.7 -0.7 -0.2 0.6 CAC -0.0 -0.3 -0.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.3 -0.1 0.7 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 0.4 -0.0 -0.7 -0.0 -0.1 0.1 -0.0 0.3 -0.0 0.3 0.5 0.1 0.5 0.1 0.7 0.0 0.7 0.2 CAD 0.2 -0.5 -0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 -0.1 0.2 -0.4 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.2 -0.0 0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 0.5 0.6 -0.2 -0.4 -0.7 -0.7 -0.7 -0.6 CANOLA -0.6 -0.3 0.6 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 -0.1 -0.1 0.1 -0.2 0.2 -0.1 0.1 -0.0 0.0 -0.2 0.0 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.4 -0.5 -0.6 -0.3 0.6 -0.4 0.1 0.3 0.6 CHF -0.6 -0.6 0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.0 -0.2 0.5 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.0 -0.2 0.2 -0.2 -1.5 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.6 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA 0.0 -0.1 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.5 0.0 0.7 0.1 0.2 -0.1 -0.0 -0.1 -0.1 0.2 0.2 -0.1 0.5 0.1 -1.8 0.1 -0.1 0.3 -0.0 0.4 0.0 -0.5 0.1 0.6 0.6 0.6 -0.1 -0.3 0.6 0.0 COFFEE 0.4 -0.1 -0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.4 0.1 -0.5 -0.0 -0.2 -0.1 0.0 -0.0 0.0 -0.1 -0.2 0.1 -0.4 0.0 -2.7 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.1 0.5 0.6 0.0 -0.6 -0.7 -0.7 -0.6 -0.3 COPPER -0.1 -0.2 -0.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.8 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.5 -0.2 0.2 0.2 0.2 -0.7 0.5 -0.7 CORN -0.1 -0.5 -0.6 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.2 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -1.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 0.1 0.0 -0.3 0.0 -0.1 0.1 0.0 0.3 COTTON2 -0.1 0.1 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 0.3 -0.1 -0.3 0.0 0.1 -0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.0 0.0 -2.7 0.1 -0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.6 0.5 0.3 -0.6 -0.5 0.3 0.4 CRUDE_W 0.6 0.6 0.6 0.1 -0.0 0.2 0.0 0.1 0.1 0.1 0.5 0.2 0.1 0.2 0.2 0.4 0.2 0.3 0.2 0.2 0.2 0.2 0.5 0.2 -1.0 0.1 0.0 0.2 0.1 0.2 0.1 -1.1 0.5 0.6 -0.2 -0.1 0.7 0.4 0.7 0.3 DAX -0.0 -0.4 -0.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.1 -0.1 0.6 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.1 -0.0 -0.1 0.3 -0.1 2.6 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.1 -0.1 0.1 -0.3 0.7 0.0 0.7 0.3 DOW -0.2 -0.5 0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.5 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.1 0.2 -0.1 -1.4 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.3 0.1 0.1 0.2 0.6 -0.5 -0.2 -0.7 -0.3 DX 0.5 0.6 0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 0.2 -0.3 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.1 0.2 0.2 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.7 0.2 0.6 0.6 0.1 -0.0 0.2 0.1 0.7 EUR -0.4 -0.6 -0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.2 -0.2 0.3 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.2 1.8 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.4 -0.3 -0.5 -0.4 -0.5 -0.2 -0.7 -0.1 -0.0 EURIBOR-ICE -0.1 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.2 -0.0 2.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.6 0.1 0.1 0.2 0.1 -0.7 -0.7 0.7 0.4 EUROSTX -0.1 -0.4 -0.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.1 0.1 -0.1 0.6 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 0.3 -0.1 0.7 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.3 0.3 -0.1 0.2 -0.1 0.7 0.1 0.7 0.4 FEEDCOW 0.5 0.2 0.6 -0.0 -0.2 -0.1 -0.1 -0.2 -0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.0 -0.4 -0.2 -0.4 0.2 0.2 0.2 0.5 0.2 0.1 0.1 0.0 0.3 0.1 0.4 0.1 -1.1 0.5 0.6 0.6 0.6 0.3 -0.3 0.7 0.0 GASOIL 0.3 0.6 0.6 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.5 0.2 0.2 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 1.6 0.1 0.0 0.2 0.0 0.1 0.1 0.0 0.5 -0.0 0.5 0.6 -0.6 0.1 -0.7 -0.1 GASOLINE 0.2 0.4 0.6 0.1 -0.0 0.2 0.0 0.1 0.1 -0.2 0.5 0.1 0.2 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.3 0.0 0.3 0.1 1.1 -0.2 -0.6 -0.6 0.1 0.7 0.4 0.7 0.2 GAS_US_mini -0.3 0.1 0.5 0.1 -0.0 0.1 0.0 0.1 0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.4 -0.6 -0.6 -0.6 0.1 0.2 -0.2 -0.0 GBP -0.6 -0.6 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.1 -0.2 0.4 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.2 0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.5 -0.6 -0.4 -0.3 -0.0 0.5 0.1 0.7 GOLD_micro 0.1 -0.4 -0.5 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.0 -0.3 -0.1 0.2 -0.1 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.1 -0.0 -0.0 -0.1 -1.5 -0.0 -0.0 -0.0 0.0 0.1 0.0 -1.0 -0.3 0.5 0.0 -0.4 -0.6 -0.7 -0.4 -0.7 HEATOIL 0.1 0.5 0.6 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.5 0.1 0.1 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 0.2 0.3 -0.6 0.3 0.6 0.2 -0.0 0.0 -0.2 JGB-SGX-mini -0.1 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 -0.1 0.1 -0.1 0.1 -0.5 -0.3 0.3 0.3 JPY -0.1 -0.5 -0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.1 2.7 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.2 -0.3 -0.4 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG 0.3 0.1 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 0.0 0.1 0.4 0.4 0.4 0.4 0.0 -0.0 0.0 -0.3 0.0 1.9 -0.0 -0.0 -0.1 0.0 -0.4 0.0 1.1 0.3 0.6 0.1 -0.0 -0.4 -0.0 0.5 0.7 LIVECOW 0.4 -0.2 0.5 -0.0 -0.2 -0.1 -0.1 -0.2 -0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.4 -0.0 -0.3 -0.1 0.2 0.2 0.2 0.5 0.2 0.4 0.1 0.0 0.3 0.1 0.4 0.1 -0.3 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.7 LUMBER-new -0.4 -0.4 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.6 -0.3 -0.6 -0.3 -0.3 -0.4 -0.3 -0.4 -0.3 -0.3 -0.2 -0.2 -0.5 -0.3 NaN -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -1.2 -0.2 -0.8 -0.6 -0.5 -0.6 -0.8 -0.3 -0.8 MILK -0.0 0.5 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 0.1 -0.0 -0.4 -0.3 -0.4 0.0 -0.1 -0.1 -0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 0.1 0.4 -0.5 -0.7 -0.7 -0.5 -0.7 MXP -0.5 -0.3 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.4 0.0 0.6 0.0 0.1 0.3 0.3 0.3 0.3 0.1 0.2 0.0 0.5 0.0 -2.7 0.0 0.0 0.2 0.0 0.4 0.0 1.1 0.5 -0.0 0.4 0.4 0.7 0.3 0.7 0.7 NASDAQ_micro -0.1 -0.6 0.2 -0.0 -0.1 -0.0 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.3 -0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 0.4 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.3 -0.0 -0.3 -0.3 -0.1 0.1 0.6 -0.1 -0.5 -0.3 -0.6 NIKKEI 0.3 -0.3 0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.1 0.5 0.1 0.6 0.1 0.1 0.2 0.2 0.2 0.3 0.1 0.2 0.0 0.5 0.1 -1.1 0.1 -0.1 0.3 0.0 0.4 0.0 1.1 0.1 0.6 0.6 0.6 0.1 0.1 -0.1 0.4 NZD 0.0 -0.6 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 -0.4 0.0 -0.1 -0.1 -0.2 -0.0 0.0 0.0 0.0 -0.2 -0.1 0.0 -0.3 -0.1 0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.2 0.2 0.2 -0.2 -0.6 -0.0 -0.5 0.1 0.2 OAT -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.9 0.1 0.1 0.1 0.2 -0.7 -0.7 -0.1 0.2 OATIES -0.6 -0.1 0.6 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.3 -0.1 -0.1 -0.1 0.1 -0.3 -0.1 -0.3 -0.3 0.1 0.2 -0.2 0.3 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.1 -0.0 -1.1 -0.5 -0.4 0.4 0.6 0.2 0.5 0.7 0.7 OJ 0.3 0.2 0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.2 0.2 0.7 0.6 PALLAD 0.1 0.2 -0.6 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.4 0.1 -0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.1 -0.5 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 0.3 -0.0 0.3 -0.5 -0.5 -0.2 0.2 -0.0 PLAT -0.1 0.0 -0.5 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.3 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 1.9 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.0 0.3 0.3 -0.2 0.0 -0.6 0.5 -0.5 REDWHEAT -0.1 -0.6 -0.3 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.5 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.3 -0.1 -2.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.6 -0.4 -0.7 -0.6 -0.5 -0.3 RICE -0.2 0.2 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 0.2 -0.0 0.1 -0.0 0.1 -0.3 0.3 -0.0 0.3 0.1 0.1 -0.0 0.1 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.0 -0.0 1.1 -0.5 0.2 0.3 0.4 -0.2 -0.7 0.4 -0.3 ROBUSTA 0.2 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 0.3 0.1 0.5 0.1 -0.0 0.4 0.4 0.4 0.4 0.1 0.2 0.0 0.5 0.1 -2.4 0.0 -0.0 0.2 0.0 0.4 0.0 1.1 0.5 0.6 0.3 0.2 -0.0 -0.5 0.6 -0.1 RUSSELL -0.5 -0.6 0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.2 -0.0 -0.2 -0.4 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 -0.5 -0.2 -0.1 0.6 -0.4 -0.4 -0.7 -0.5 SHATZ -0.4 -0.0 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.1 -0.1 -0.4 -0.1 1.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 -0.1 -0.2 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.3 -0.2 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 1.0 0.0 0.0 0.0 0.0 0.1 0.0 -0.2 -0.0 -0.0 0.2 0.2 -0.6 -0.7 -0.2 -0.7 SMI 0.2 -0.2 -0.3 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 0.0 0.1 0.1 0.2 -0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 0.8 0.0 0.0 -0.0 0.1 -0.1 0.0 0.5 0.5 0.4 0.6 -0.2 -0.2 -0.5 -0.5 -0.5 SOFR -0.1 -0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.3 0.0 -0.1 -0.7 -0.7 -0.4 -0.1 SOYBEAN -0.4 -0.0 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 0.0 -0.1 0.1 0.1 0.4 0.2 0.3 0.0 0.0 -0.1 0.0 -0.1 -2.7 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.2 -0.1 -0.1 0.6 -0.5 0.1 -0.3 0.4 SOYMEAL -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.1 -0.0 0.2 0.4 0.2 0.3 -0.0 -0.0 -0.1 0.0 -0.1 -2.7 0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 0.0 -0.0 -0.1 0.3 -0.7 -0.7 -0.6 -0.6 SOYOIL -0.6 0.0 0.6 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.3 -0.1 0.0 -0.1 0.1 0.3 0.2 0.3 0.2 0.0 0.1 -0.2 0.2 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.8 -0.3 -0.2 0.0 0.6 0.0 0.2 0.7 0.7 SP400 -0.4 -0.6 0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.1 0.0 -0.2 0.2 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.1 -0.2 -1.7 -0.0 -0.1 0.0 -0.1 0.1 -0.0 0.1 -0.3 0.0 -0.1 0.6 -0.1 -0.4 -0.6 -0.6 SP500_micro -0.2 -0.6 0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.4 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.2 0.3 -0.1 -2.4 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.4 -0.3 -0.0 0.0 0.6 -0.2 -0.4 -0.5 -0.7 SUGAR11 0.6 0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.5 0.2 0.7 0.2 0.2 -0.1 0.2 -0.0 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.4 0.1 0.4 0.5 0.6 0.6 0.1 -0.7 -0.7 0.3 -0.0 US10 -0.2 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.4 -0.1 0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.5 -0.1 0.2 -0.0 -0.2 -0.7 -0.7 0.4 0.0 US10U -0.2 -0.5 -0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.4 -0.2 -0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.2 -0.1 -0.2 -0.7 -0.7 0.7 0.7 US2 -0.0 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 1.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.1 0.1 0.1 -0.3 -0.7 -0.7 -0.7 -0.7 US20 -0.1 -0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.2 -0.2 -0.2 -0.7 -0.7 0.7 0.7 US30 -0.1 -0.4 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.1 -0.4 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 0.2 -0.2 -0.1 -0.7 -0.7 0.7 0.7 US5 -0.2 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.2 -0.3 -0.3 -0.1 -0.2 -0.1 -0.4 -0.1 0.6 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.9 -0.1 0.2 0.0 -0.2 -0.7 -0.7 -0.0 -0.6 VIX -0.4 0.3 -0.6 -0.1 0.1 -0.4 -0.0 -0.7 -0.1 0.2 -0.9 -0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.0 -0.9 -0.3 NaN -0.1 0.1 -0.5 -0.0 -0.8 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.4 -0.6 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.3 -0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.0 -0.3 -0.5 -0.1 -0.7 -0.5 -0.6 -0.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 2.7 -16.1 -9.8 -2.0 -1.7 1.5 -2.0 2.7 -3.1 4.8 -14.9 -0.3 -9.4 -13.3 -14.8 -3.4 -2.8 -3.2 -3.0 -13.5 -13.5 -0.9 -11.7 -7.2 3.4 -4.7 -0.9 -4.4 -0.3 -3.6 -2.6 -1.3 4.9 5.7 -7.7 -15.6 -8.1 -20.0 -4.9 3.7 BITCOIN -1.0 -18.2 -2.9 -2.1 0.9 -0.7 2.2 1.3 -0.3 12.6 3.9 5.7 3.6 -11.5 -15.0 -4.8 -4.3 -5.9 -5.4 -11.5 -4.4 3.9 -0.2 -6.1 -20.0 -5.3 1.4 -3.0 1.7 -0.4 -2.7 -1.3 1.6 -1.4 -9.8 -7.6 -9.1 20.0 -7.4 20.0 BOBL -7.7 -1.8 -4.6 -2.7 -3.3 -2.4 -3.4 -2.6 -2.9 -6.3 -5.0 -7.5 -7.6 -6.7 -6.5 -3.8 -8.7 -15.6 -14.2 -5.2 -5.7 -8.2 -9.7 -6.6 10.0 -2.4 -3.7 -2.1 -4.4 -3.4 -3.4 -15.2 0.6 -0.4 4.5 2.1 -20.0 -20.0 -20.0 -16.9 BTP -10.0 -10.1 0.6 -3.9 -4.8 -3.5 -4.9 -3.8 -4.3 -9.8 2.0 -11.2 0.5 -10.7 -7.3 5.4 7.6 5.4 6.2 -5.8 -1.9 -9.6 -2.7 -8.8 -6.6 -3.1 -4.4 -0.6 -5.2 -0.5 -4.8 16.3 4.4 0.3 2.8 12.8 -12.4 -20.0 1.4 9.6 BUND -6.0 -4.8 -2.6 -2.8 -3.5 -2.5 -3.5 -2.7 -3.1 -7.1 -6.4 -7.7 -8.3 -7.1 -7.1 0.2 7.6 3.5 5.3 -5.4 -5.7 -7.2 -9.4 -6.3 6.3 -2.6 -3.5 -2.2 -3.9 -3.3 -3.3 15.5 3.2 1.6 2.7 3.5 -20.0 -20.0 -17.3 -1.7 BUXL -7.7 -8.8 -2.1 -3.2 -4.0 -2.9 -4.1 -3.1 -3.5 -9.0 -9.5 -9.5 -10.4 -9.3 -8.8 0.3 0.9 0.7 1.1 -8.8 -8.9 -9.8 -13.1 -9.4 1.1 -3.4 -3.5 -2.8 -4.1 -3.3 -3.9 6.3 2.2 -0.8 -2.3 3.6 -20.0 -20.0 -6.7 17.6 CAC -1.4 -8.9 -13.0 -3.7 -13.4 -0.2 -7.4 2.6 -5.0 -11.4 9.5 -5.5 19.3 -11.4 -6.5 -7.0 -1.7 -6.1 -4.1 -3.1 3.1 -4.2 13.6 -3.3 -5.2 -1.7 -10.0 2.0 -2.7 7.3 -1.8 5.4 20.0 2.9 14.2 1.8 20.0 0.9 20.0 6.2 CAD 7.4 -16.8 -1.9 -2.9 -2.5 2.2 -2.9 3.9 -4.5 17.7 -3.7 19.9 -11.9 -9.4 -13.7 -2.5 -2.1 -2.3 -2.3 -11.1 -8.6 14.4 -7.8 -0.2 1.4 -4.1 6.0 -3.0 6.1 -2.2 0.2 0.0 20.0 18.9 -5.5 -12.9 -20.0 -20.0 -20.0 -18.6 CANOLA -20.0 -8.0 20.0 -1.4 -8.3 -1.2 -5.9 -2.2 -3.6 -10.8 5.6 -11.4 -3.6 -10.1 4.9 -9.8 9.2 -3.3 3.9 -2.8 3.9 -20.0 0.2 -16.6 -20.0 -0.6 -6.1 0.4 -5.9 -1.1 -3.9 7.2 -20.0 -18.5 -10.0 18.5 -10.7 3.8 9.6 17.2 CHF -20.0 -20.0 0.5 -2.7 -2.4 2.1 -2.7 3.7 -4.3 -20.0 1.4 -20.0 13.1 -20.0 -15.6 -16.8 -13.9 -15.7 -14.8 -19.3 -1.4 -20.0 8.7 -20.0 -11.0 -5.4 -9.9 -0.1 -9.9 2.4 -9.3 -20.0 -20.0 -20.0 -19.6 -9.5 -20.0 -20.0 -20.0 -20.0 COCOA 1.5 -2.0 5.9 -2.6 -14.7 -2.1 -10.5 -3.9 -6.5 -18.7 20.0 2.5 20.0 11.8 18.8 -3.9 -2.4 -4.4 -3.1 20.0 20.0 -5.9 20.0 12.1 -13.8 7.4 -7.4 10.8 -2.5 11.3 3.0 -9.5 4.0 20.0 20.0 20.0 -2.0 -10.4 17.4 0.5 COFFEE 13.7 -2.7 -16.5 -2.6 -14.8 -2.1 -10.6 -3.9 -6.5 5.8 -15.3 10.6 -14.1 -3.0 -16.7 -3.2 1.8 -1.5 0.4 -9.4 -16.4 10.1 -16.6 3.4 -20.0 -3.4 0.2 -4.5 4.8 -3.6 1.3 -2.8 20.0 20.0 0.9 -20.0 -20.0 -20.0 -17.6 -10.3 COPPER -1.6 -6.0 -3.3 -1.7 0.8 -0.6 1.8 1.0 -0.3 -13.1 -9.1 -9.1 -3.1 -9.5 -6.5 -5.6 -2.7 -5.0 -4.0 -6.0 -6.1 -11.1 -5.7 -6.9 -5.9 -1.7 -10.8 -2.1 -6.0 -2.4 -2.9 1.3 -20.0 -7.3 5.1 6.9 7.0 -20.0 14.0 -20.0 CORN -2.2 -16.2 -18.1 -1.4 -8.0 -1.1 -5.7 -2.1 -3.5 -6.4 -10.5 -8.7 -9.9 -10.7 -11.4 -7.8 3.0 -7.1 -3.0 -10.6 -12.1 -3.9 -10.1 -7.0 -10.4 -3.0 -1.3 -3.4 -2.0 -3.9 -2.9 -4.4 2.6 1.1 -9.3 1.1 -4.5 3.7 1.4 9.7 COTTON2 -2.3 4.4 13.4 -2.0 -11.3 -1.6 -8.1 -3.0 -5.0 -5.4 10.2 -4.8 -8.6 0.6 10.3 -1.0 5.7 3.0 3.9 6.9 6.8 -1.6 0.8 2.6 -20.0 5.1 -2.3 4.6 0.5 2.8 3.3 2.8 15.8 20.0 16.3 10.2 -17.3 -16.0 9.7 10.7 CRUDE_W 20.0 20.0 20.0 8.0 -0.9 6.1 3.0 3.4 6.4 8.7 20.0 20.0 1.5 20.0 20.0 19.4 10.0 13.3 10.6 20.0 20.0 20.0 18.9 20.0 -7.4 9.3 0.6 7.1 5.7 4.7 9.0 -20.0 20.0 20.0 -4.9 -2.1 20.0 12.4 20.0 8.7 DAX -1.0 -13.2 -13.0 -3.5 -12.8 -0.2 -7.0 2.5 -4.8 -14.9 3.2 -13.9 16.8 -17.5 -15.6 -9.7 -7.4 -9.2 -8.6 -8.7 -0.8 -11.7 9.6 -9.7 19.4 -5.1 -12.4 -1.3 -7.2 3.6 -5.7 -3.6 3.3 -4.0 3.4 -9.0 20.0 0.4 20.0 8.3 DOW -6.4 -14.0 6.5 -3.0 -11.1 -0.1 -6.1 2.1 -4.2 -16.5 8.6 -7.8 12.7 -10.5 1.5 -11.7 -8.3 -11.3 -10.2 -2.3 4.8 -12.6 7.0 -8.3 -10.8 0.3 -9.9 4.1 -5.3 5.3 -2.8 -5.8 3.3 3.6 7.4 20.0 -13.7 -7.2 -20.0 -7.7 DX 14.8 20.0 8.2 -2.6 -2.2 2.0 -2.5 3.5 -4.0 15.1 12.5 19.4 -8.6 20.0 20.0 7.6 5.4 6.9 6.1 20.0 13.8 18.0 5.6 20.0 -20.0 6.7 3.1 3.7 5.1 2.2 7.2 13.5 7.3 20.0 20.0 2.8 -0.8 7.5 2.9 20.0 EUR -13.3 -19.9 -4.8 -2.1 -1.8 1.6 -2.1 2.9 -3.4 -11.1 -8.6 -15.3 7.9 -17.0 -15.7 -6.6 -6.8 -6.6 -6.6 -15.8 -6.9 -13.4 -1.3 -18.1 13.6 -5.3 -2.8 -2.1 -4.7 -0.3 -6.2 -7.8 -11.7 -15.0 -13.1 -14.0 -6.7 -19.6 -1.7 -1.5 EURIBOR-ICE -3.1 1.8 -0.9 -2.5 -3.1 -2.2 -3.1 -2.4 -2.7 -6.4 -3.8 -6.2 -6.8 -3.8 -2.0 -9.5 -8.0 -9.4 -9.2 -2.4 -3.8 -5.4 -8.6 -3.5 17.5 -1.1 -2.7 -1.5 -2.6 -3.5 -1.6 -10.7 2.3 3.5 7.6 2.8 -20.0 -20.0 20.0 11.5 EUROSTX -3.1 -12.3 -13.4 -3.3 -11.9 -0.2 -6.6 2.3 -4.5 -10.8 5.5 -10.8 16.5 -16.2 -14.8 -5.4 -1.4 -5.0 -3.7 -6.6 0.8 -7.3 10.9 -7.4 5.5 -4.4 -9.4 -0.2 -5.1 5.5 -4.9 5.9 13.7 -3.9 7.2 -4.1 20.0 3.2 20.0 12.3 FEEDCOW 14.1 5.2 20.0 -3.0 -17.3 -2.5 -12.4 -4.6 -7.6 7.8 20.0 18.5 20.0 20.0 20.0 -0.8 -20.0 -10.7 -20.0 20.0 20.0 20.0 20.0 20.0 0.4 9.7 2.4 10.1 7.6 10.1 9.8 -20.0 20.0 20.0 20.0 20.0 8.6 -9.1 20.0 0.3 GASOIL 8.0 20.0 20.0 6.2 -0.7 4.8 2.4 2.7 5.0 7.0 16.8 14.8 4.8 18.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 12.1 7.3 1.4 5.9 3.7 3.3 5.8 0.0 20.0 -0.8 16.1 19.7 -19.2 2.6 -20.0 -4.0 GASOLINE 5.5 12.2 20.0 7.8 -0.8 6.0 2.9 3.3 6.3 -18.0 20.0 9.4 6.3 15.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 4.8 20.0 20.0 -20.0 9.0 -4.7 9.7 0.7 9.0 5.6 20.0 -8.1 -18.6 -20.0 3.7 20.0 12.7 20.0 4.9 GAS_US_mini -8.2 2.5 14.0 7.2 -0.8 5.5 2.7 3.1 5.8 -14.3 -19.9 -17.6 -20.0 -20.0 -12.9 -20.0 -20.0 -20.0 -20.0 -11.8 -20.0 -9.3 -20.0 -12.1 20.0 -1.6 -5.5 -2.0 -3.2 -4.4 -3.0 -20.0 -17.1 -20.0 -20.0 -20.0 1.5 6.3 -7.0 -0.2 GBP -18.1 -19.6 -0.6 -2.6 -2.2 2.0 -2.6 3.5 -4.1 -19.4 3.8 -20.0 12.3 -20.0 -15.3 -0.2 -0.7 -0.0 -0.3 -16.4 -1.1 -20.0 5.5 -20.0 -0.9 -5.6 -8.7 -0.6 -9.4 0.9 -9.0 2.8 -20.0 -20.0 -12.1 -8.0 -0.7 14.9 4.5 20.0 GOLD_micro 3.7 -11.4 -15.2 -2.4 1.1 -0.8 2.5 1.4 -0.4 1.1 -12.1 -4.8 5.5 -11.1 -16.1 -19.5 -14.0 -18.2 -16.3 -14.7 -12.9 -0.6 -1.0 -6.3 -11.5 -1.5 -1.7 -1.5 2.6 2.1 1.8 -19.0 -11.0 14.7 0.9 -11.5 -18.7 -20.0 -10.6 -20.0 HEATOIL 2.8 16.1 20.0 6.8 -0.7 5.2 2.6 2.9 5.5 -2.2 17.2 10.6 3.6 17.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 14.1 19.0 20.0 -20.0 7.7 0.0 7.3 1.8 5.2 4.8 4.1 14.3 -18.3 9.2 20.0 5.0 -1.4 1.1 -4.8 JGB-SGX-mini -2.5 -14.1 -18.2 -3.2 -4.0 -2.9 -4.0 -3.1 -3.5 -8.4 1.8 -8.7 4.9 -9.8 -9.5 20.0 20.0 17.3 17.2 -7.6 -3.1 -8.4 1.8 -8.0 -0.3 -3.0 -4.4 -1.6 -3.6 -0.5 -3.3 20.0 -5.7 2.5 -4.5 2.9 -16.1 -9.7 9.4 8.8 JPY -2.0 -16.5 -16.4 -1.7 -1.4 1.3 -1.6 2.2 -2.6 -6.2 -14.3 -11.4 -13.2 -13.8 -14.4 -17.2 -14.4 -16.7 -15.8 -19.5 -20.0 -7.9 -20.0 -13.7 20.0 -5.2 -0.9 -5.5 -2.3 -5.4 -3.9 -20.0 -7.1 -8.3 -12.9 -20.0 -5.0 -20.0 -3.4 -20.0 LEANHOG 8.0 1.8 13.9 -1.7 -9.9 -1.4 -7.1 -2.6 -4.4 -5.3 -1.5 6.1 -5.8 1.1 8.6 20.0 20.0 20.0 20.0 1.9 -3.1 3.0 -9.3 3.4 14.6 -0.6 -1.0 -5.4 1.9 -9.7 1.6 20.0 13.6 20.0 3.8 -0.5 -10.9 -0.4 14.7 20.0 LIVECOW 10.9 -4.8 14.8 -3.0 -17.2 -2.5 -12.3 -4.5 -7.6 6.5 20.0 19.0 20.0 20.0 20.0 -20.0 -0.5 -17.3 -3.3 20.0 20.0 20.0 20.0 20.0 2.7 9.5 1.3 11.7 7.0 12.3 8.7 -5.0 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -20.0 LUMBER-new -9.7 -10.6 -3.7 -2.9 -16.5 -2.1 -11.8 -3.1 -7.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.1 -14.0 -16.1 -14.7 -20.0 -17.7 -20.0 -14.5 -20.0 NaN -7.3 -11.5 -5.3 -9.7 -3.5 -8.6 -20.0 -6.9 -20.0 -16.4 -14.2 -16.2 -20.0 -7.1 -20.0 MILK -1.4 14.8 12.6 -1.4 -8.2 -1.2 -5.9 -2.2 -3.6 -10.9 -3.6 -7.6 -9.7 -1.5 5.1 -1.4 -20.0 -17.2 -20.0 1.0 -5.7 -15.4 -13.7 -3.6 -0.5 -0.6 -8.5 -3.4 -5.8 -6.1 -1.8 -20.0 -20.0 3.6 11.9 -14.7 -20.0 -20.0 -14.0 -20.0 MXP -15.6 -10.7 -11.3 -2.0 -1.7 1.5 -2.0 2.7 -3.1 9.9 14.5 3.7 16.6 2.2 8.6 14.6 17.4 16.2 16.8 4.8 14.4 4.7 20.0 1.8 -20.0 2.1 0.9 7.2 1.9 11.3 0.4 20.0 20.0 -0.8 13.1 13.2 20.0 7.7 20.0 20.0 NASDAQ_micro -3.7 -20.0 4.8 -2.0 -7.4 -0.1 -4.1 1.4 -2.8 -11.1 9.4 -4.9 8.8 -4.1 2.2 -9.6 -8.2 -10.0 -9.6 1.8 10.7 -12.9 13.1 -5.3 -20.0 0.7 -9.1 5.3 -5.3 7.4 -2.4 -5.2 -10.7 -1.6 2.5 18.5 -3.4 -15.2 -10.0 -17.9 NIKKEI 9.3 -10.2 2.9 -3.3 -12.0 -0.2 -6.6 2.3 -4.5 -10.0 16.7 8.6 16.9 10.1 10.3 8.9 12.3 12.5 12.7 11.0 18.7 0.8 20.0 8.3 -8.3 5.4 -9.6 9.6 0.1 11.5 3.7 20.0 3.2 20.0 20.0 20.0 3.6 3.7 -1.8 10.9 NZD 1.1 -17.8 -9.8 -2.0 -1.7 1.5 -2.0 2.7 -3.1 13.2 -14.2 0.7 -2.1 -13.2 -15.2 -0.1 0.4 0.0 0.2 -14.0 -13.1 1.2 -10.2 -7.4 0.5 -4.7 2.1 -4.2 0.7 -3.0 -2.5 4.2 8.4 5.0 -6.4 -18.9 -1.2 -14.6 4.0 7.1 OAT -5.8 -4.6 -1.4 -3.0 -3.7 -2.7 -3.8 -2.9 -3.3 -7.5 -6.7 -8.1 -8.5 -7.4 -7.1 5.5 8.2 5.9 6.9 -5.3 -5.2 -7.3 -8.4 -6.3 8.4 -2.7 -3.6 -2.1 -4.0 -3.3 -3.4 17.5 3.5 2.2 3.3 4.9 -20.0 -20.0 -2.5 5.7 OATIES -20.0 -1.9 20.0 -1.6 -9.4 -1.4 -6.7 -2.5 -4.1 -12.5 9.5 -12.1 -2.0 -5.4 6.9 -17.0 -5.7 -17.2 -13.3 6.8 14.2 -20.0 10.1 -12.4 -20.0 1.7 -9.4 3.2 -7.4 2.2 -2.7 -20.0 -20.0 -12.2 11.6 20.0 5.4 15.5 20.0 20.0 OJ 7.8 6.8 17.9 -2.5 -14.1 -2.0 -10.1 -3.7 -6.2 16.1 20.0 19.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.9 3.4 8.9 4.7 10.0 6.4 20.0 20.0 20.0 20.0 20.0 5.9 5.9 20.0 18.1 PALLAD 4.5 7.1 -17.5 -1.4 0.6 -0.5 1.5 0.8 -0.2 13.5 -14.3 9.8 -15.4 -0.3 -10.8 -2.5 -2.6 -2.7 -2.7 -7.4 -19.6 7.8 -20.0 1.9 -1.1 -1.9 4.4 -4.8 3.8 -6.6 1.3 2.3 11.6 -1.5 8.4 -14.1 -15.5 -5.0 5.8 -0.7 PLAT -2.5 0.2 -14.6 -1.3 0.6 -0.4 1.4 0.8 -0.2 4.4 -10.4 -3.6 -3.1 -2.7 -8.3 -3.5 -2.4 -3.3 -2.9 -5.7 -7.9 1.4 -5.5 -1.8 14.5 1.0 1.0 -0.8 3.1 -0.8 2.9 2.4 1.5 10.2 9.4 -7.5 0.6 -18.1 13.8 -14.1 REDWHEAT -2.5 -20.0 -9.4 -1.9 -10.7 -1.5 -7.6 -2.8 -4.7 -11.4 -12.0 -11.0 -14.3 -15.1 -14.8 -3.6 1.3 -2.6 -0.4 -15.4 -13.2 -8.8 -9.8 -12.1 -15.4 -4.5 -5.6 -3.5 -3.5 -2.0 -4.0 -3.7 1.0 -3.1 -20.0 -12.0 -20.0 -19.3 -15.9 -8.8 RICE -5.7 4.9 11.4 -1.5 -6.4 -1.6 -5.8 -3.3 -4.0 1.0 7.1 -4.4 3.3 -1.4 9.6 -15.6 15.3 -1.2 13.8 6.6 6.6 -4.1 3.5 0.6 -20.0 1.5 -2.4 2.3 -2.9 1.3 -1.6 20.0 -20.0 6.6 9.9 12.9 -5.3 -19.6 11.0 -9.8 ROBUSTA 5.2 -7.6 -4.0 -2.1 -12.3 -1.8 -8.8 -3.2 -5.4 -1.0 12.7 5.3 13.8 5.9 -0.4 20.0 20.0 20.0 20.0 6.4 14.2 5.2 20.0 6.5 -17.6 3.1 -4.7 7.1 2.7 10.7 3.3 20.0 20.0 20.0 10.4 6.5 -0.5 -13.9 18.9 -4.1 RUSSELL -13.9 -20.0 5.9 -3.0 -11.1 -0.1 -6.1 2.1 -4.1 -16.9 -1.8 -17.9 -2.2 -18.2 -6.6 -8.6 -6.0 -8.0 -7.1 -12.9 -2.6 -20.0 -1.2 -20.0 -3.1 -2.4 -12.8 0.9 -8.4 1.8 -5.4 -1.1 -20.0 -4.9 -3.4 17.8 -10.7 -11.4 -20.0 -16.3 SHATZ -13.5 -0.4 -11.0 -2.6 -3.2 -2.3 -3.2 -2.5 -2.8 -5.8 -7.0 -7.5 -7.9 -7.2 -6.8 -20.0 -9.0 -20.0 -16.2 -7.7 -8.8 -11.6 -13.8 -9.9 11.0 -2.5 -3.1 -2.3 -4.3 -3.5 -3.6 -16.7 -4.6 -6.4 3.8 -2.0 -20.0 -20.0 -20.0 -20.0 SILVER-mini -9.5 -7.2 -6.2 -1.6 0.7 -0.5 1.6 0.9 -0.2 11.7 -0.3 -5.6 4.6 -7.4 -7.7 -7.1 -6.0 -7.1 -6.7 -5.6 -2.6 -0.7 0.8 -5.6 7.6 1.0 3.4 1.4 1.9 1.5 1.0 -3.9 -1.3 -0.3 4.8 6.2 -18.9 -20.0 -5.9 -20.0 SMI 6.7 -5.6 -10.4 -3.3 -11.9 -0.2 -6.6 2.3 -4.5 1.7 2.1 5.9 5.9 -3.1 -8.9 1.3 1.0 -1.1 -0.8 -3.3 -3.1 5.9 0.3 2.2 5.9 0.2 2.6 -0.8 5.3 -1.5 3.3 10.3 20.0 13.0 20.0 -5.8 -7.4 -14.0 -15.3 -14.0 SOFR -3.6 -14.7 -17.0 -3.6 -4.5 -3.3 -4.6 -3.5 -4.0 -10.6 -8.9 -9.5 -5.7 -9.3 -9.9 -2.4 -1.1 -2.1 -1.6 -12.0 -10.9 -12.7 -9.1 -11.0 -1.9 -3.7 -7.0 -3.4 -4.7 -2.8 -3.4 2.0 -3.5 9.1 1.3 -3.9 -20.0 -20.0 -10.8 -4.4 SOYBEAN -12.3 -0.3 13.1 -1.4 -8.0 -1.1 -5.7 -2.1 -3.5 -9.9 5.7 -10.3 0.9 -5.5 5.4 6.0 18.0 8.7 13.0 0.9 3.0 -11.0 1.3 -5.7 -20.0 0.5 -5.1 1.3 -4.5 0.8 -2.4 20.0 -9.0 -1.9 -3.7 19.7 -13.9 3.2 -10.4 12.4 SOYMEAL -9.5 -1.9 -0.2 -1.5 -8.8 -1.3 -6.3 -2.3 -3.9 -9.1 -4.8 -10.3 2.3 -4.9 -2.5 8.9 18.1 11.4 15.8 -2.4 -1.2 -8.3 1.7 -5.6 -20.0 0.1 -3.7 1.7 -4.0 3.5 -2.5 20.0 0.9 -0.1 -2.1 10.5 -20.0 -19.9 -17.3 -18.3 SOYOIL -19.6 1.1 20.0 -1.8 -10.0 -1.4 -7.2 -2.6 -4.4 -13.0 10.0 -12.6 0.4 -9.1 10.0 14.8 11.7 13.9 11.9 4.5 9.9 -17.2 5.8 -8.2 -20.0 1.4 -9.6 3.2 -6.2 1.8 -2.8 14.5 -10.7 -6.4 1.2 20.0 0.9 6.5 20.0 20.0 SP400 -13.7 -20.0 7.2 -2.9 -10.5 -0.1 -5.8 2.0 -3.9 -16.0 1.5 -17.0 6.2 -17.0 -2.1 -5.2 -5.0 -5.8 -5.5 -10.3 0.0 -20.0 3.6 -18.6 -12.8 -1.4 -11.4 1.5 -6.6 2.5 -4.0 1.1 -14.1 1.5 -1.7 20.0 -3.7 -12.7 -18.5 -19.3 SP500_micro -6.1 -20.0 6.7 -2.7 -10.0 -0.1 -5.5 1.9 -3.7 -15.2 11.0 -8.5 10.6 -8.9 2.5 -11.8 -9.5 -12.1 -11.2 -0.2 9.5 -18.0 11.8 -8.8 -18.1 0.4 -13.1 5.1 -7.2 6.5 -3.3 -7.6 -13.2 -0.6 0.8 20.0 -6.4 -13.5 -16.0 -19.8 SUGAR11 20.0 11.4 -1.0 -2.6 -14.7 -2.1 -10.5 -3.9 -6.5 2.5 18.5 16.8 18.2 19.7 17.7 -3.5 9.8 -1.9 2.9 20.0 20.0 20.0 20.0 20.0 -20.0 6.8 0.8 7.5 4.9 10.5 7.4 6.9 20.0 20.0 20.0 2.4 -20.0 -20.0 8.8 -1.1 US10 -5.2 -14.8 -19.6 -3.0 -3.8 -2.7 -3.8 -3.0 -3.3 -8.9 -9.2 -9.2 -9.2 -9.4 -9.7 -9.4 -7.4 -9.4 -9.0 -12.6 -13.3 -12.1 -13.7 -11.0 1.2 -3.4 -5.8 -3.6 -4.0 -3.4 -3.0 -10.1 -4.5 5.2 -0.9 -6.0 -20.0 -20.0 10.8 0.3 US10U -5.0 -15.5 -17.1 -4.0 -4.9 -3.6 -5.0 -3.9 -4.4 -11.5 -11.9 -12.1 -11.8 -12.4 -12.6 0.4 -1.2 -1.4 -1.7 -16.4 -16.5 -15.1 -16.6 -14.3 -3.7 -4.4 -7.2 -4.5 -4.8 -4.1 -3.8 1.6 -4.3 7.0 -3.6 -7.0 -20.0 -20.0 20.0 19.5 US2 -1.1 -4.0 -20.0 -2.9 -3.6 -2.6 -3.6 -2.8 -3.2 -6.7 -9.6 -8.5 -9.3 -8.8 -9.6 -20.0 -20.0 -20.0 -20.0 -13.5 -17.5 -11.6 -20.0 -10.7 9.4 -3.3 -4.5 -4.3 -3.6 -5.3 -2.7 -20.0 -5.2 4.2 2.8 -10.1 -20.0 -20.0 -20.0 -20.0 US20 -3.1 -16.2 -15.9 -2.9 -3.6 -2.6 -3.7 -2.8 -3.2 -8.3 -8.3 -8.2 -7.8 -8.6 -8.7 -5.0 -2.1 -3.7 -2.9 -12.1 -12.0 -10.6 -11.7 -10.2 -3.4 -3.2 -5.2 -3.2 -3.2 -2.8 -2.6 0.0 -3.2 5.1 -5.6 -4.9 -20.0 -20.0 20.0 20.0 US30 -1.6 -13.2 -11.2 -3.3 -4.1 -3.0 -4.2 -3.2 -3.7 -9.6 -9.8 -9.5 -9.4 -9.8 -9.7 -7.9 -3.9 -7.1 -5.5 -12.4 -12.7 -11.0 -13.5 -10.5 -3.0 -3.5 -5.7 -3.7 -3.5 -3.3 -2.8 -3.6 -2.6 7.0 -5.1 -3.5 -19.8 -20.0 20.0 20.0 US5 -5.0 -13.2 -20.0 -3.2 -4.0 -2.9 -4.1 -3.1 -3.5 -9.4 -9.9 -9.8 -9.8 -10.0 -10.4 -16.6 -10.5 -15.0 -13.3 -13.3 -14.4 -13.3 -15.7 -11.8 4.2 -3.6 -6.2 -3.9 -4.5 -4.1 -3.3 -16.2 -5.5 5.1 0.9 -6.4 -20.0 -20.0 -1.3 -17.3 VIX -6.8 6.6 -11.2 -7.3 5.9 -10.0 -0.7 -11.7 -4.8 14.2 -20.0 -11.5 -20.0 -17.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -2.7 -20.0 -15.0 NaN -8.4 6.8 -11.7 -0.8 -14.1 -5.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -11.7 -20.0 -6.4 -1.3 -7.2 -1.0 -5.2 -1.9 -3.2 -8.3 -9.7 -9.8 -10.6 -10.8 -10.6 -11.3 -9.7 -11.3 -10.8 -13.4 -12.2 -7.8 -11.9 -12.0 -3.8 -3.3 -2.1 -2.6 -2.5 -2.4 -3.4 -20.0 -0.9 -8.0 -15.2 -3.7 -20.0 -13.5 -19.0 -9.1 End of report for caleb_strategy_v3